Filtering for Non-Markovian SDEs Involving Nonlinear SPDEs and Backward Parabolic Equations |
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| Authors: | Daniela Ijacu Marinela Marinescu |
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| Institution: | 1. Department of Applied Mathematics, The Bucharest University of Economics, Calea Dorobantilor 15-17, 0105724?, Bucharest, Romania
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| Abstract: | We study a filtering problem for non-Markovian SDE’s where the drift vector fields commute with diffusion vector fields. The evolution of the conditioned mean value will be decribed using a backward parabolic equation with parameters. |
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